| bibtype |
J -
Journal Article
|
| ARLID |
0561398 |
| utime |
20230324090058.5 |
| mtime |
20220921235959.9 |
| SCOPUS |
85101143043 |
| WOS |
000632284700007 |
| DOI |
10.1016/j.intfin.2021.101312 |
| title
(primary) (eng) |
Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures |
| specification |
| page_count |
15 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0379526 |
| ISSN |
1042-4431 |
| title
|
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY |
| volume_id |
71 |
| publisher |
|
|
| keyword |
Art markets |
| keyword |
Efficient index |
| keyword |
Generalized spectral measure |
| keyword |
Hurst exponent |
| keyword |
Approximate entropy |
| author
(primary) |
| ARLID |
cav_un_auth*0436654 |
| name1 |
Assaf |
| name2 |
A. |
| country |
LB |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0436655 |
| name1 |
Demir |
| name2 |
E. |
| country |
TR |
|
| author
|
| ARLID |
cav_un_auth*0436656 |
| name1 |
Mitra |
| name2 |
S. M. |
| country |
IN |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA20-17295S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0397556 |
|
| abstract
(eng) |
In this paper, we investigate the efficiency in the art markets, using a generalized spectral test (GST) in a rolling window approach to detect departure from the martingale difference hypothesis (MDH) and trace the periods of market efficiency over time. Then we comple- ment our results using the approximate entropy, the rescaled range analysis, and fractal dimension. We combine the three measures in an Efficiency Index for each market. Applying these methods, we find that the Modern Art, Paintings, Post-war, Prints, the USA market, and the global market in Euro show the largest values for the Approximate Entropy. Using the rescaled range estimates, we find that all markets are characterized by persistent behavior and, then using the Efficiency Index, our results indicate over- whelming evidence of market inefficiency in almost all sectors. Finally, we support our findings with some explanation of the reasons behind market inefficiency, related to asymmetrical information, influential galleries power, and differentiated pieces and talents in the art markets. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2023 |
| num_of_auth |
4 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0334062 |
| confidential |
S |
| article_num |
101312 |
| mrcbC86 |
2 Article Business Finance|Economics |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.921 |
| mrcbT16-s |
1.310 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2021 |
| mrcbU14 |
85101143043 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000632284700007 WOS |
| mrcbU63 |
cav_un_epca*0379526 JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 1042-4431 1873-0612 Roč. 71 č. 1 2021 Elsevier |
|